The spatial and temporal diffusion of house prices in the UK

Journal of Urban Economics

Volumn 69, Issue 1, 2011, Pages 2-23

  Holly, Sean ^a   Hashem Pesaran, M ^a   Yamagata, Takashi ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Cross sectional dependence; House prices; Spatial dependence

Indexed keywords

EID: 78349308172     PISSN: 00941190     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jue.2010.08.002     Document Type: Article

References (67)

1. Abbott A.J., DeVita G. Testing for Long-Run Convergence Across Regional House Prices in the UK: A Pairwise Approach 2009, Mimeo, Oxford Brookes University.
2. Alexander C., Barrow M. Seasonality and co-integration of regional house prices in the UK. Urban Studies 1994, 31:1667-1689.
3. Anselin L. Spatial Econometrics: Methods and Models 1988, Kluwer Academic Publishers, Boston.
4. Ashworth J., Parker S.C. Modelling regional house prices in the UK. Scottish Journal of Political Economy 1997, 44:225-246.
5. Bai J. Panel data models with interactive fixed effects. Econometrica 2009, 77:1229-1279.
6. Barker K. Review of Housing Supply: Delivering Stability: Securing our future housing needs. Final Report - Recommendations 2004, HM Treasury, London, .
7. Berger M., Blomquist G., Peter K. Compensating differential in emerging labor and housing markets: Estimates of quality of life in Russian Cities. Journal of Urban Economics 2008, 63:25-55.
8. Bond S.A., Dungey M., Fry R. A web of shocks: crises across Asian real estate markets. Journal of Real Estate Finance and Economics 2006, 32:253-274.
9. Cameron G., Muellbauer J. The housing market and regional commuting and migration choices. Scottish Journal of Political Economy 1998, 45:420-446.
10. Can A. The measurement of neighborhood dynamics in urban house prices. Economic Geography 1990, 66:254-272.
11. Case K., Shiller R. The efficiency of the market for single family homes. American Economic Review 1989, 79(1):125-137.
12. Case, B., Goetzmann, W., Rouwenhorst, K.G., 2000. Global real estate markets: cycles and fundamentals. NBER Working Paper No. 7566.
13. Chen Y., Rosenthal S. Local amenities and life cycle migration: do people move for jobs or fun?. Journal of Urban Economics 2008, 65:519-537.
14. Chudik, A., Pesaran, M.H., 2010a. Infinite dimensional VARs and factor models. ECB working paper No. 998, January 2009. Journal of Econometrics, forthcoming.
15. Chudik, A., Pesaran, M.H., Tosetti, E., 2010b. Weak and strong cross section dependence and estimation of large panels. CESifo Working Paper Series No. 2689, 2009. The Econometrics Journal, forthcoming.
16. Cliff A., Ord J.K. Spatial Autocorrelation 1973, Pion, London.
17. Conley T.G. GMM estimation with cross sectional dependence. Journal of Econometrics 1999, 92:1-45.
18. Conley T.G., Topa G. Socio-economic distance and spatial patterns in unemployment. Journal of Applied Econometrics 2002, 17:303-327.
19. Fahrmeir L., Gössl C. Semiparametric Bayesian models for human brain mapping. Statistical Modeling 2002, 2:235-249.
20. Fingleton B. Generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices. Empirical Economics 2008, 34:35-57.
21. Gallin J. The long-run relationship between house prices and income: evidence from local housing markets. Real State Economics 2006, 34:417-438.
22. Garratt A., Lee K., Pesaran M.H., Shin Y. Global and National Macroeconometric Modelling: A Long Run Structural Approach 2006, Oxford University Press, Oxford.
23. Gibbons S., Machin S. Valuing rail access using transport innovations. Journal of Urban Economics 2005, 57:148-169.
24. Giussani B., Hadjimatheou G. Modeling regional house prices in the UK. Journal of Financial Intermediation 1991, 13:414-435.
25. Glaeser E., Gyourko J. Urban decline and durable housing. Journal of Political Economy 2005, 113(345-375).
26. Glaeser E.L., Gyourko J., Saiz A. Housing supply and housing bubbles. Journal of Urban Economics 2008, 64:198-217.
27. Gössl C., Auer D.P., Fahrmeir L. Bayesian spatiotemporal inference in functional magnetic resonance imaging. Biometrics 2001, 57:554-562.
28. Goyal S. Connections: An Introduction to the Economics of Networks 2007, Princeton University Press.
29. Granger C.W.J., Lin J.L. Causality in the long run. Econometric Theory 1995, 11:530-536.
30. Hausman J.A. Specification tests in econometrics. Econometrica 1978, 46:251-272.
31. Herring, R., Wachter, S., 1999. Real estate booms and banking busts: an international perspective. Wharton Working Paper Series 99-27.
32. Holly, S., Petrella, I., 2008. Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations. Cambridge Working Paper No. 0827.
33. Holly S., Pesaran M.H., Yamagata T. A spatio-temporal model of house prices in the US. Journal of Econometrics 2010, 158:160-173.
34. Holmes M.J., Grimes A. Is there long-run convergence among regional house prices in the UK?. Urban Studies 2008, 45:1531-1544.
35. Horvath M. Cyclicality and sectoral linkages: aggregate fluctuations from independent sectoral shocks. Review of Economic Dynamics 1998, 1:781-808.
36. Horvath M. Sectoral shocks and aggregate fluctuations. Journal of Monetary Economics 2000, 45:69-106.
37. Hosios A.J., Pesando J.E. Measuring prices in resale housing markets in Canada: evidence and implications. Journal of Housing Economics 1991, 1:303-317.
38. Hwang M., Quigley J. Housing price dynamics in time and space: predictability, liquidity and investor returns. Journal of Real Estate Finance and Economics 2010, 41:3-23.
39. Johansen S. Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models. Econometrica 1991, 59:1551-1580.
40. Kelejian H.H., Prucha I. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 1999, 40:509-533.
41. Kelejian H.H., Prucha I. Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Journal of Econometrics 2010, 157:53-67.
42. Kelejian H.H., Robinson D.P. Spatial autocorrelation: a suggested alternative to the autoregressive model. New Directions in Spatial Econometrics 1995, Springer-Verlag, Berlin. L. Anselin, R. Florax (Eds.).
43. Kneib T., Fahrmeir L. A space-time study on forest health. Statistical Methods for Trend Detection and Analysis in the Environmental Sciences 2010, Wiley & Sons, Hoboken. R. Chandler, M. Scott (Eds.).
44. Larsen E.R., Weum S. Testing the efficiency of the Norwegian housing market. Journal of Urban Economics 2008, 64:510-517.
45. Lee L.F. Asymptotic distributions of quasi-maximum likelihood estimators for spatial autoregressive models. Econometrica 2004, 72:1899-1925.
46. McDuff, F., 2009, Identifying Substitute Cities: Observable Similarity and Home Price Correlation, unpublished mimeo, Princeton University.
47. Meen G. On the economics of the Barker review of housing supply. Housing Studies 2005, 20:949-971.
48. Meese R., Wallace N. Testing the present value relation for housing prices: should I leave my house in San Francisco?. Journal of Urban Economics 1994, 35:245-266.
49. Pesaran M.H. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 2006, 74:967-1012.
50. Pesaran M.H. A pair-wise approach to testing for output and growth convergence. Journal of Econometrics 2007, 138:312-355.
51. Pesaran, M.H., Chudik, A., 2010. Econometric analysis of high dimensional VARs featuring a dominant unit. ECB working paper No. 1194, May 2010.
52. Pesaran B., Pesaran M.H. Time Series Econometrics Using Microfit 5 2009, Oxford University Press, Oxford.
53. Pesaran M.H., Shin Y. Generalized impulse response analysis in linear multivariate models. Economics Letters 1998, 58:17-29.
54. Pesaran M.H., Shin Y. An autoregressive distributed lag modelling approach to cointegration analysis. Econometrics and Economic Theory in the 20th Century 1999, Cambridge University Press, Cambridge. S. Steinar (Ed.).
55. Pesaran, M.H., Tosetti, E., 2010. Large panels with spatial correlations and common factors. http://www.econ.cam.ac.uk/faculty/pesaran/wp10/PesaranTosetti-31-may-10.pdf.
56. Pesaran M.H., Shin Y., Smith R.J. Structural analysis of vector error correction models with exogenous I(1) variables. Journal of Econometrics 2000, 97:293-343.
57. Pesaran M.H., Schuermann T., Weiner S. Modelling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economics Statistics 2004, 22:129-162.
58. Peterson, W., Holly, S., Gaudoin, P., 2002. Further Work on an Economic Model of the Demand for Social Housing. Report to the Department for the Environment, Transport and the Regions, London.
59. Peuquet D.J. It's about time: a conceptual ramework for the representation of temporal dynamics in geographic information systems. Annals of the Association of American Geographers 1994, 84:441-461.
60. Piggott, G., 2007. Commuting in London, DMAG Briefing 2007-03, Greater London Authority, ISSN 1479-7879.
61. Rosenthal S. Residential buildings and the cost of construction: new evidence on the efficiency of the housing market. Review of Economics and Statistics 1999, 81:288-302.
62. Rosenthal L. Efficiency and seasonality in the UK housing market, 1991-2001. Oxford Bulletin of Economics and Statistics 2006, 68:289-317.
63. Swank, J., Kakes, J., Tieman, A.F., 2002. The housing ladder, taxation and borrowing constraints. DNB Report No. 9, Amsterdam.
64. van Dijk, B., Franses, P.H., Paap, R., van Dijk, D.J.C., 2010, Modeling regional house prices. Applied Economics, forthcoming.
65. Whittle P. On stationary processes in the plane. Biometrika 1954, 41:434-449.
66. Whittle P. On the variation of yield variance with plot size. Biometrika 1956, 43:337-343.
67. Wu D.M. Alternative tests of independence between stochastic regressors and disturbances. Econometrica 1973, 41:733-750.